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I should have said at the beginning. Shapes are said to be slower than visuals and I will have up to thousands of little object, so speed is important.

They're slower because they support all the necessary functionality for eventing and easily modifying them, for moving or changing individual shapes etc. If you implement all that on top of Visuals for your apps needs, you'll likely end up with something even slower (since it won't have all the low-level optimisations that WPF can provide).